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q-fin.PM2023
Convex scalarizations of the mean-variance-skewness-kurtosis problem in portfolio selection
Andries Steenkamp
We consider the multi-objective mean-variance-skewness-kurtosis (MVSK) problem in portfolio selection, with and without shorting and leverage. Additionally, we define a sparse vari…
math.OC2023
Matrix factorization ranks via polynomial optimization
Andries Steenkamp
In light of recent data science trends, new interest has fallen in alternative matrix factorizations. By this, we mean various ways of factorizing particular data matrices so that…